Biomasa desovante de la anchoveta del stock norte centro en el invierno 2004

El crucero BIC Olaya y SNP2 0408-09 tuvo el objetivo de estimar la biomasa desovante de la anchoveta (Engraulis ringens) del stock norte centro (4 a 15°S) durante el invierno 2004. Se utilizó el método de producción de huevos (MPH). El total estimado fue de 4,2 millones de toneladas.

Is bank debt special for the transmission of monetary policy? Evidence from the stock market

We combine existing balance sheet and stock market data with two new datasets to studywhether, how much, and why bank lending to firms matters for the transmission of monetarypolicy. The first new dataset enables us to quantify the bank dependence of firms precisely,as the ratio of bank debt to total assets. We show that a two standard deviation increase inthe bank dependence of a firm makes its stock price about 25% more responsive to monetarypolicy shocks. We explore the channels through which this effect occurs, and find that thestock prices of bank-dependent firms that borrow from financially weaker banks display astronger sensitivity to monetary policy shocks. This finding is consistent with the banklending channel, a theory according to which the strength of bank balance sheets mattersfor monetary policy transmission. We construct a new database of hedging activities andshow that the stock prices of bank-dependent firms that hedge against interest rate riskdisplay a lower sensitivity to monetary policy shocks. This finding is consistent with aninterest rate pass-through channel that operates via the direct transmission of policy ratesto lending rates associated with the widespread use of floating-rates in bank loans and creditline agreements.

Modelo de control viable para el manejo sostenible del stock de anchoveta peruana (Engraulis ringens)

El manejo sostenible de pesquerías es todavía un problema abierto y la teoría de viabilidad ofrece una alternativa para determinar políticas de manejo de los recursos que garanticen la sostenibilidad, una vez definidas las restricciones que determinan los estados sostenibles del sistema. La dinámica poblacional de la anchoveta peruana se modeló usando un modelo estructurado por edades tipo Thomson–Bell con capturas discretas acoplado con el modelo de reclutamiento de Ricker, con pasos semestrales entre los años 1963–1984. Se definió además un conjunto deseable de estados sostenibles, asociado a los niveles del stock y capturas que satisfacen restricciones ecológicas, económicas y sociales previamente definidas. En base a esto se calculó el conjunto de los estados del stock para los que existe un sucesión de capturas que permiten mantenerlo en un estado sostenible (conjunto denominado núcleo de viabilidad) y una familia de conjuntos de capturas viables, que corresponden a todos los niveles de captura que se puedan aplicar sobre cada estado del stock de manera tal que éste se mantenga dentro del núcleo de viabilidad, es decir, permanezca en un estado sostenible. Se encontró una condición suficiente para la existencia de un núcleo de viabilidad no vacío: que la cuota social (captura mínima para mantener en funcionamiento la pesquería) sea menor a un desembarque de 915 800 t semestrales. Se comparó la serie histórica de capturas con las obtenidas a partir de la teoría de viabilidad para el periodo 1963 - 1984, encontrándose que hubo sobrepesca desde finales de 1968, lo que conllevó al colapso de la pesquería durante El Niño de 1972-1973. A partir de los resultados de viabilidad, se definieron 5 estrategias de manejo pesquero (E1–E5) para la anchoveta peruana, concluyéndose que la estrategia precautoria viable media (E5) hubiera podido evitar el colapso de la pesquería de anchoveta, manteniendo además niveles aceptables de pesca. Además, la estrategia precautoria del ICES (E2) no aseguró la sostenibilidad del stock durante los periodos El Niño. Además, se concluye que hubiera sido necesaria una veda de un año después del colapso de la pesquería para que el stock regresara al núcleo de viabilidad, posibilitando un manejo sostenible en adelante. La teoría de la viabilidad, con el núcleo de viabilidad y las capturas viables asociadas, resultaron ser herramientas útiles para el diseño de estrategias de manejo que aseguran la sostenibilidad de los recursos pesqueros.

Contribution to the geology of Southern Turkey: new insights from the Mersin mélanges and from the Lycian and Antalya nappes

Abstract The study of fossil Tethyan continental margins implies the consideration of the oceanic domains to which they were connected. The advent of plate tectonics confirmed the importance of the detection of accretion-related mélanges. Ophiolitic mélanges are derived from both an upper ophiolitic obducting plate and a lower oceanic plate. Besides ophiolitic elements, the mélanges may incorporate parts of a magmatic arc and dismembered fragments of a passive continental margin. As the lower plate usually totally disappears during the obduction process, it can only be reconstructed from its elements found in the mélanges. Because of their key location at active margin boundaries, preserved accretion-related mélanges provide strong constraints on the geological evolution of former oceanic domains and their adjacent margins. The identification of Palaeotethyan remnants as accretionary series or reworked during the Late Triassic Eo-Cimmerian event, as well as the recognition of HugluPindos marginal sequences in southern Turkey and in the external Hellenides represent the main achievements of this work, making possible to establish new palaeogeographical correlations. The Mersin mélanges (Turkey), together with the Antalya and Mamonia (Cyprus) domains, are characterized by a series of exotic units found now south of the main Taurus range and compose the South-Taurides Exotic Units. The Mersin mélanges are subdivided in a Triassic and a Late Cretaceous unit. These units consist of the remnants of three major Tethyan oceans, the Palaeotethys, the Neotethys and the Huglu-Pindos. The definition and inventory of the Upper Antalya Nappes (Turkey) are still a matter of controversies and often conflicting interpretations. The recognition of Campanian radiolarians on top of the Kerner Gorge unit directly overlain by the Ordovician Seydi§ehir Fm. of the Tahtah Dag Nappe outlines a tectonic contact and demonstrates that the Upper Antalya Nappes system is composed of three different nappes, the Kerner Gorge, Bakirli and the Tahtah Dag nappes. Additionally, a limestone block in a doubtful tectonic position at the base of the Upper Antalya Nappes yielded for the first time two middle Viséan associations of foraminifers and problematic algae. The Tavas Nappe in the Lycian Nappes (Turkey) is classically divided into the Karadag, Teke Dere, Köycegiz and Haticeana units. As for the Mersin mélanges, the Tavas Nappe is highly composite and includes dismembered units belonging to the Palaeotethyan, Neotethyan and HugluPindos realms. The Karadag unit consists of a Gondwana-type platform succession ranging from the Late Devonian to the Late Triassic. It belongs to the Cimmerian Taurus terrane and was part of the northern passive margin of the Neotethys. The Teke Dere unit is composed of different parts of the Palaeotethyan succession including Late Carboniferous OIB-type basalts, Carboniferous MORB-type basalts, an Early Carboniferous siliciclastic series and a Middle Permian arc sequence. The microfauna and microflora identified in different horizons within the Teke Dere unit share strong biogeographical affinities with the northern Palaeotethyan borders. Kubergandian limestones in primary contact above the Early Carboniferous siliciclastics yielded a rich and diverse microfauna and microflora also identified in reworked cobbles within the Late Triassic Gevne Fm. of the Aladag unit (Turkey). The sedimentological evolution of the Köycegiz and Haticeana series is in many points similar to classical Pindos sequences. These series originated in the Huglu-Pindos Ocean along the northern passive margin of the Anatolian (Turkish transect) and Sitia-Pindos (Greek transect) terranes. Conglomerates at the base of the Lentas Unit in southern Crete (Greece) yielded a microfauna and microflora presenting also strong affinities with the northern borders of the Palaeotethys. This type of reworked sediments at the base of Pindos-like series would suggest a derivation from the Palaeotethyan active margin. -Résumé (French abstract) L'étude des marges continentales fossiles de l'espace téthysien implique d'étudier les domaines océaniques qui y étaient rattachés. Les progrès de la tectonique des plaques ont confirmé l'importance de la reconnaissance des mélanges d'accrétion. Les mélanges ophiolitiques dérivent d'une plaque supérieure ophiolitique qui obducte, et d'une plaque inférieure océanique. En plus d'éléments ophiolitiques, les mélanges peuvent aussi incorporer des parties d'un arc magmatique, ou des fragments d'une marge continentale passive. Comme la plaque inférieure disparaît généralement complètement durant le processus d'obduction, elle ne peut être reconstruite qu'au travers de ses éléments trouvés dans les mélanges. A cause de leur situation aux limites de marges actives, les mélanges d'accrétion bien préservés permettent de contraindre l'évolution géologique d'anciens océans et de leurs marges. L'identification de vestiges de la Paléotéthys en série d'accrétion ou remaniés lors de l'orogenèse éo-cimmérienne au Trias supérieur, ainsi que l'observation de séquences marginales de Huglu-Pinde en Turquie du sud et dans les Hellénides externes représentent les principaux résultats de ce travail, permettant d'établir de nouvelles corrélations paléogéographiques. Les mélanges de Mersin (Turquie), avec les domaines d'Antalya et de Mamonia (Chypre), sont caractérisés par des unités exotiques se trouvant au sud de la chaîne taurique, et forment les Unités Exotiques Sud-Tauriques. Les mélanges de Mersin sont subdivisés en une unité triasique, et une autre du Crétacé supérieur. Ces unités comprennent les reliques de trois principaux océans téthysiens, la Paléotéthys, la Néotéthys et Huglu-Pinde. L'inventaire et la définition des nappes supérieures d'Antalya (Turquie) sont encore matière à controverse et donne lieu à des interprétations conflictuelles. La découverte de radiolaires campaniens au sommet de l'unité de la Gorge de Kemer, directement recouverts par la formation ordovicienne de Seydisehir de la nappe du Tahtali Dag met en évidence un contact tectonique et démontre que les nappes supérieures sont composées de trois différentes nappes, celle de la Gorge de Kemer, celle du Bakirli et celle Tahtali Dag. De plus, un bloc de calcaire dont la position tectonique demeure incertaine à la base des nappes supérieures a fourni pour la première fois deux associations viséennes de foraminifères et d'algues problématiques. La nappe de Tavas dans les nappes lyciennes (Turquie) est séparée en unités du Karadag, du Teke Dere, de Köycegiz et d'Haticeana. Comme pour les mélanges de Mersin, la nappe de Tavas est composite et inclut des unités appartenant à la Paléotéthys, à la Néotéthys et à Huglu-Pinde. L'unité du Karadag est une plateforme carbonatée de type Gondwana se développant du Dévonien supérieur au Trias supérieur. Elle appartient au domaine cimmérien du Taurus et formait la marge nord de la Néotéthys. L'unité du Teke Dere est composée de différentes écailles paléotéthysiennes et inclut des basaltes d'île océanique du Carbonifère supérieur, des basaltes de ride océanique du Carbonifère, une série siliciclastique du Carbonifère supérieur et un arc du Permien moyen. Les microfaunes et -flores trouvées à différents niveaux de la série du Teke Dere partagent de fortes affinités paléogéographiques avec les marges nord de la Paléotéthys. Des calcaires du Kubergandien en contact primaire au-dessus de la série siliciclastique a donné de riches microfaunes et -flores, également identifiées dans des galets remaniés dans la formation de Gevne du Trias supérieur de l'Aladag. L'évolution sédimentologique des séries de Köycegiz et d'Haticeana sont très similaires aux séries classiques du Pinde. Ces séquences prennent leur racine dans l'océan de Huglu-Pinde, le long de la marge passive nord anatolienne (profil turc) et de la marge de Sitia-Pinde (profil grec). Des conglomérats à la base de l'unité de Lentas au sud de la Crète (Grèce) ont donné des microfaunes et flores partageant également de fortes similitudes avec les bordures nord de la Paléotéthys. Le type de sédiments remaniés à la base d'unités de type Pinde suggère une dérivation depuis la marge active de la Paléotéthys. -Résumé grand public (non-specialized abstract) Au début du 20ème siècle, Alfred Wegener bouleverse les croyances géologiques de l'époque et publie plusieurs articles sur la dérive ou la translation des continents. En utilisant des arguments géographiques (similarités des lignes de côte), paléontologiques (faunes et flores similaires) et climatiques (dépôts tropicaux et glaciaires), Wegener explique qu'il y a plusieurs millions d'années, les terres émergées actuelles ne devaient former qu'un seul et grand continent. La fin du 20ème siècle verra l'avènement de la théorie de la tectonique des plaques suite à la reconnaissance du cycle de Wilson, des rides médio-océaniques, des anomalies magnétiques dans les océans et des sutures océaniques qui représentent les reliques d'océans disparus. Le Cycle de Wilson se caractérise par une suite d'évènements géologiques majeurs pouvant se résumer de la manière suivante : (1) séparation d'un craton continental en deux parties, créant une limite de plaque divergente. C'est ce que l'on appelle un rift; (2) développement et croissance d'un océan entre ces deux blocs. Des roches magmatiques remontent à la surface de la terre et forment une chaîne de montagne sous-marine que l'on appelle ride médio-océanique ou dorsale. L'océan continue de se développer, et des sédiments se déposent à sa surface formant la suite ophiolitique ou trinité de Steinmann; (3) après une phase d'expansion plus ou moins longue, les conditions imposées aux limites des plaques à la surface de la terre changent, et l'océan se met à se refermer par disparition progressive (subduction) de sa croûte océanique sous une croûte continentale par exemple. Ceci crée une nouvelle limite de plaque, convergente cette fois; (4) la subduction de la plaque océanique sous la plaque continentale provoque une remontée de magma formant des chaînes volcaniques à la surface de la Terre ; (5) une fois que la plaque océanique a complètement disparu, les deux blocs préalablement séparés par l'océan font collision, formant ainsi une chaîne de montagne. Les chaînes de montagnes sont de manière générale formées par un empilement plus ou moins complexe de nappes. C'est au coeur de certaines de ces nappes que se trouvent les vestiges de l'océan disparu. Un des objectifs de ce travail était la recherche de ces vestiges dans le domaine téthysien de la Méditerranée orientale. Pour ce faire, nous avons parcourus une grande partie du sud de la Turquie, nous sommes allés à Chypre, dans le Sultanat d'Oman, en Iran, en Crète, et nous avons visités quelques îles grecques du Dodécanèse. La région de la Méditerranée orientale est une zone qui a été tectoniquement très active, et qui continue de l'être de nos jours par des phénomènes de subduction (ex. les volcans de Santorin), et par des mouvements coulissants entre des plaques continentales (ex. la faille nord-anatolienne) qui donnent régulièrement lieu à des tremblements de terre. Pour le géologue, la complexité de ces zones d'étude réside dans le fait que les chaînes de montagne actuelles ne contiennent en général pas seulement les restes d'un océan, mais bien de plusieurs bassins océaniques qui se sont succédés dans l'espace et dans le temps. Les nappes qui se trouvent au sud de la Turquie et dans le Dodécanèse forment un important jalon dans la chaîne alpine qui s'étend depuis les Alpes jusque dans l'Himalaya. L'idée d'un continuum au coeur de ce système se basait principalement sur l'âge des océans et sur la reconnaissance de similarités dans l'évolution des séries sédimentaires. La localisation des vestiges de la Paléotéthys ainsi que l'identification des séries sédimentaires ayant appartenu à l'océan de HugluPinde repris sous forme de nappes en Turquie et en Grèce sont cruciales pour permettre de bonnes corrélations locales et régionales. La reconnaissance, la compréhension et l'interprétation de ces séries sédimentaires permettront d'élaborer un modèle d'évolution géodynamique régional, s'appuyant sur des faits de terrains indiscutables, et prenant en compte les contraintes globales que ce genre d'exercice implique.

« Recueil de monumens antiques... tirés de toutes parts et de divers cabinets... », comprenant de nombreuses reproductions à la plume de médailles, vases, marbres, etc...

Ex-libris d'A. Kühnholtz-Lordat.

Spare non-occupational HIV post-exposure prophylaxis by active contacting and testing of the source person.

OBJECTIVE: HIV-1 post-exposure prophylaxis (PEP) is frequently prescribed after exposure to source persons with an undetermined HIV serostatus. To reduce unnecessary use of PEP, we implemented a policy including active contacting of source persons and the availability of free, anonymous HIV testing ('PEP policy'). METHODS: All consultations for potential non-occupational HIV exposures i.e. outside the medical environment) were prospectively recorded. The impact of the PEP policy on PEP prescription and costs was analysed and modelled. RESULTS: Among 146 putative exposures, 47 involved a source person already known to be HIV positive and 23 had no indication for PEP. The remaining 76 exposures involved a source person of unknown HIV serostatus. Of 33 (43.4%) exposures for which the source person could be contacted and tested, PEP was avoided in 24 (72.7%), initiated and discontinued in seven (21.2%), and prescribed and completed in two (6.1%). In contrast, of 43 (56.6%) exposures for which the source person could not be tested, PEP was prescribed in 35 (81.4%), P < 0.001. Upon modelling, the PEP policy allowed a 31% reduction of cost for management of exposures to source persons of unknown HIV serostatus. The policy was cost-saving for HIV prevalence of up to 70% in the source population. The availability of all the source persons for testing would have reduced cost by 64%. CONCLUSION: In the management of non-occupational HIV exposures, active contacting and free, anonymous testing of source persons proved feasible. This policy resulted in a decrease in prescription of PEP, proved to be cost-saving, and presumably helped to avoid unnecessary toxicity and psychological stress.

Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market

In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several families of copulas are fitted and compared with Spanish stock market data. The results show that the t-copula generally outperforms other dependence structures, and highlight the difficulty in adjusting a significant number of bivariate data series

Water-soluble nutrients in aerial plant parts of peanut and white oat as affected by lime and gypsum application

Lime and gypsum influence nutrient availability and uptake, as well as the content of organic acids in the aerial plant parts. These changes, quantified by plant analysis of soluble nutrients, may potentiate the effect of soil amendment, ensuring the sustainability of the no-tillage system. In this sense the effect of lime and gypsum surface application on the content of water-soluble nutrients in peanut and oat residues was evaluated. The experiment was conducted on an Oxisol in Botucatu (SP) in the growing seasons 2004/2005 and 2005/2006. It was arranged in a randomized block design in split plots with four replications, where lime rates represented the plots and presence or absence of gypsum application the subplots. Peanut was grown in summer and white oat in the winter in the entire experimental area. Gypsum applied to peanut increased soluble Ca only in the first season, due to the short period between product application and determination of soluble nutrient contents in the plant extract. Liming of peanut and oat increased soluble Ca, Mg, K contents, did not alter Cu content and reduced Zn, Mn and Fe contents in both years of cultivation. Gypsum on the other hand reduced the electrical conductivity of peanut (2004/2005 and 2005/2006) and white oat (2004/2005).

Carbon stock and its compartments in a subtropical oxisol under long-term tillage and crop rotation systems

Soil organic matter (SOM) plays a crucial role in soil quality and can act as an atmospheric C-CO2 sink under conservationist management systems. This study aimed to evaluate the long-term effects (19 years) of tillage (CT-conventional tillage and NT-no tillage) and crop rotations (R0-monoculture system, R1-winter crop rotation, and R2- intensive crop rotation) on total, particulate and mineral-associated organic carbon (C) stocks of an originally degraded Red Oxisol in Cruz Alta, RS, Southern Brazil. The climate is humid subtropical Cfa 2a (Köppen classification), the mean annual precipitation 1,774 mm and mean annual temperature 19.2 ºC. The plots were divided into four segments, of which each was sampled in the layers 0-0.05, 0.05-0.10, 0.10-0.20, and 0.20-0.30 m. Sampling was performed manually by opening small trenches. The SOM pools were determined by physical fractionation. Soil C stocks had a linear relationship with annual crop C inputs, regardless of the tillage systems. Thus, soil disturbance had a minor effect on SOM turnover. In the 0-0.30 m layer, soil C sequestration ranged from 0 to 0.51 Mg ha-1 yr-1, using the CT R0 treatment as base-line; crop rotation systems had more influence on soil stock C than tillage systems. The mean C sequestration rate of the cropping systems was 0.13 Mg ha-1 yr-1 higher in NT than CT. This result was associated to the higher C input by crops due to the improvement in soil quality under long-term no-tillage. The particulate C fraction was a sensitive indicator of soil management quality, while mineral-associated organic C was the main pool of atmospheric C fixed in this clayey Oxisol. The C retention in this stable SOM fraction accounts for 81 and 89 % of total C sequestration in the treatments NT R1 and NT R2, respectively, in relation to the same cropping systems under CT. The highest C management index was observed in NT R2, confirming the capacity of this soil management practice to improve the soil C stock qualitatively in relation to CT R0. The results highlighted the diversification of crop rotation with cover crops as a crucial strategy for atmospheric C-CO2 sequestration and SOM quality improvement in highly weathered subtropical Oxisols.

Comparing Basal Area Diameter Distributions Estimated by Tree Species and for the Entire Stock in a Mixed Stand

Summary

Static and dynamic structure of liquid metals: Role of the different parts of the interaction potential

The influence of different parts of the interaction potential on the microscopic behavior of simple liquid metals is investigated by molecular dynamics simulation. The role of the soft-core repulsive, short-range attractive, and long-range oscillatory forces on the properties of liquid lithium close to the triple point is analyzed by comparing the results from simulations of identical systems but truncating the potential at different distances. Special attention is paid to dynamic collective properties such as the dynamic structure factors, transverse current correlation functions, and transport coefficients. It is observed that, in general, the effects of the short-range attractive forces are important. On the contrary, the influence of the oscillatory long-range interactions is considerably less, being the most pronounced for the dynamic structure factor at long wavelengths. The results of this work suggest that the influence of the attractive forces becomes less significant when temperature and density increase.

Estimation of jump-diffusion processes via empirical characteristic functions

Preface The starting point for this work and eventually the subject of the whole thesis was the question: how to estimate parameters of the affine stochastic volatility jump-diffusion models. These models are very important for contingent claim pricing. Their major advantage, availability T of analytical solutions for characteristic functions, made them the models of choice for many theoretical constructions and practical applications. At the same time, estimation of parameters of stochastic volatility jump-diffusion models is not a straightforward task. The problem is coming from the variance process, which is non-observable. There are several estimation methodologies that deal with estimation problems of latent variables. One appeared to be particularly interesting. It proposes the estimator that in contrast to the other methods requires neither discretization nor simulation of the process: the Continuous Empirical Characteristic function estimator (EGF) based on the unconditional characteristic function. However, the procedure was derived only for the stochastic volatility models without jumps. Thus, it has become the subject of my research. This thesis consists of three parts. Each one is written as independent and self contained article. At the same time, questions that are answered by the second and third parts of this Work arise naturally from the issues investigated and results obtained in the first one. The first chapter is the theoretical foundation of the thesis. It proposes an estimation procedure for the stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint unconditional characteristic function for the stochastic process. The major analytical result of this part as well as of the whole thesis is the closed form expression for the joint unconditional characteristic function for the stochastic volatility jump-diffusion models. The empirical part of the chapter suggests that besides a stochastic volatility, jumps both in the mean and the volatility equation are relevant for modelling returns of the S&P500 index, which has been chosen as a general representative of the stock asset class. Hence, the next question is: what jump process to use to model returns of the S&P500. The decision about the jump process in the framework of the affine jump- diffusion models boils down to defining the intensity of the compound Poisson process, a constant or some function of state variables, and to choosing the distribution of the jump size. While the jump in the variance process is usually assumed to be exponential, there are at least three distributions of the jump size which are currently used for the asset log-prices: normal, exponential and double exponential. The second part of this thesis shows that normal jumps in the asset log-returns should be used if we are to model S&P500 index by a stochastic volatility jump-diffusion model. This is a surprising result. Exponential distribution has fatter tails and for this reason either exponential or double exponential jump size was expected to provide the best it of the stochastic volatility jump-diffusion models to the data. The idea of testing the efficiency of the Continuous ECF estimator on the simulated data has already appeared when the first estimation results of the first chapter were obtained. In the absence of a benchmark or any ground for comparison it is unreasonable to be sure that our parameter estimates and the true parameters of the models coincide. The conclusion of the second chapter provides one more reason to do that kind of test. Thus, the third part of this thesis concentrates on the estimation of parameters of stochastic volatility jump- diffusion models on the basis of the asset price time-series simulated from various "true" parameter sets. The goal is to show that the Continuous ECF estimator based on the joint unconditional characteristic function is capable of finding the true parameters. And, the third chapter proves that our estimator indeed has the ability to do so. Once it is clear that the Continuous ECF estimator based on the unconditional characteristic function is working, the next question does not wait to appear. The question is whether the computation effort can be reduced without affecting the efficiency of the estimator, or whether the efficiency of the estimator can be improved without dramatically increasing the computational burden. The efficiency of the Continuous ECF estimator depends on the number of dimensions of the joint unconditional characteristic function which is used for its construction. Theoretically, the more dimensions there are, the more efficient is the estimation procedure. In practice, however, this relationship is not so straightforward due to the increasing computational difficulties. The second chapter, for example, in addition to the choice of the jump process, discusses the possibility of using the marginal, i.e. one-dimensional, unconditional characteristic function in the estimation instead of the joint, bi-dimensional, unconditional characteristic function. As result, the preference for one or the other depends on the model to be estimated. Thus, the computational effort can be reduced in some cases without affecting the efficiency of the estimator. The improvement of the estimator s efficiency by increasing its dimensionality faces more difficulties. The third chapter of this thesis, in addition to what was discussed above, compares the performance of the estimators with bi- and three-dimensional unconditional characteristic functions on the simulated data. It shows that the theoretical efficiency of the Continuous ECF estimator based on the three-dimensional unconditional characteristic function is not attainable in practice, at least for the moment, due to the limitations on the computer power and optimization toolboxes available to the general public. Thus, the Continuous ECF estimator based on the joint, bi-dimensional, unconditional characteristic function has all the reasons to exist and to be used for the estimation of parameters of the stochastic volatility jump-diffusion models.

Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market

In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several families of copulas are fitted and compared with Spanish stock market data. The results show that the t-copula generally outperforms other dependence structures, and highlight the difficulty in adjusting a significant number of bivariate data series